OptionPrice ( IDataHolder strike , IDataHolder isPut , IDataHolder daysToExpiration , IDataHolder underlyingPrice , IDataHolder Volatility , double isEuropean , double yield , double interestRate );
Default values:
strike: getStrike()
isPut: isPut()
daysToExpiration: getDaysToExpiration()
underlyingPrice: close(getUnderlyingSymbol())
Volatility: imp_volatility(getUnderlyingSymbol())
isEuropean: isEuropean()
yield: getYield()
interestRate: getInterestRate()
Description
Calculates the theoretical option price. By default, this function uses implied volatility averaged over different options for the underlying, so the returned result is approximate.
Input parameters
| Parameter | Default value | Description |
|---|---|---|
| strike | - | Defines the strike price for the option. |
| isPut | - | Defines whether or not the current is Put. |
| daysToExpiration | - | Defines the number of days till the expiration of the option. |
| underlyingPrice | close(getUnderlyingSymbol()) | Defines the price of underlying symbol. |
| Volatility | imp_volatility(getUnderlyingSymbol()) | Defines the volatility with which the theoretical price is calculated. |
| isEuropean | - | Defines whether or not the oprion is European. |
| yield | - | Defines the yield of the underlying symbol for the option. |
| interestRate | - | Defines the global interest rate. |
Example
input underlying = "GOOG";
input strike = 700.0;
input expiration_date = 20140118;
input is_put = no;
input interest_rate = 0.06;
input yield = 0.0;
input is_european = no;
def iv;
if GetAggregationPeriod() < AggregationPeriod.DAY {
iv = imp_volatility(underlying, AggregationPeriod.DAY);
} else {
iv = imp_volatility(underlying);
}
plot TheoOptPrice = OptionPrice(strike, is_put, DaysTillDate(expiration_date), close(underlying), iv, is_european, yield, interest_rate);
This script plots the theoretical price of Google January 2014 call option with $700 strike and interest rate of 6%.